Director Treasury Analytics

We’re building a relationship-oriented bank for the modern world. We need talented passionate professionals who are dedicated to doing what’s right for our clients.

At CIBC we embrace your strengths and your ambitions so you are empowered at work. Our team members have what they need to make a meaningful impact and are truly valued for who they are and what they contribute.

To learn more about CIBC please visit CIBC.com

Job Description

What You’ll Be Doing

The Director will support Senior Director(s) of Treasury Analytics to conduct analysis to develop advanced statistical models to accurately predict how customer behavior affects retail product cash-flows and the use of embedded options; apply financial engineering techniques as needed for valuation. The Director is also expected to implement/apply advanced analytics for optimization reporting back-testing & risk factor simulation and to interpret and explain any resulting output.

How You’ll Succeed

Consumer Behavior Analytics - Lead the development and modeling for customer behavior used in Treasury Analytics parameter review. Provide subject matter expertise and develop procedures for back testing cash-flow models to assess their validity for projecting cash-flows and recommend improvement to such models. Apply statistical models to forecast cash-flows and quantify forecast uncertainties. Conduct back-testing and to recommend updated consumer behavior parameters. Present models to stakeholders and gain their support and model acceptance.

Quantitative Analysis - Apply sophisticated mathematical modeling processes or algorithms to conduct analysis & risk factor simulation. Apply standards and protocols to ensure output is correct and reproducible. Document assumptions explain analytical methods and interpret the results.

Financial/Derivative Analytics - Support the management of Cash-flow modeling books. Conduct back-testing and recommending risk rebalancing in the cash-flow modeling books to maintain cash-flow modeling risk at minimal levels. Implement and lead development of analytics for cashflow models pricing and hedging of fixed income derivatives market risk measurement ALM and balance sheet management portfolio management and optimization. Develop analytics/methodologies for transfer pricing new retail products and assess new and existing retail product profitability. Analyze interpret and explain cash-flow modeling P/L and risk drivers.

Data Science - Independently design and perform moderately complex data preparation tasks using data mining methods; null value replacement imputation joins and unions etc. Exploratory data analysis including concepts/theories of clustering dimension reduction sampling and Bayesian estimation. The analysis may require creative thinking to overcome limitations in data availability and data quality. Predictive modeling which include complex statistical concepts/theories and predictions including optimization clustering neural networks logistic regression multiple decision trees sampling and Bayesian estimation. The analysis and modeling may require creative thinking to overcome limitations in data availability and data quality.

Systems and Support - Support the development and maintenance of incorporating consumer behavior analytics into pricing risk and mathematical analytics library supporting integration across all Treasury systems and stand-alone useability and consistency with in-house or 3rd party analytics that are used for Bank-wide benchmarking to validate pricing or risk. Ensure all analytics and methodologies have been vetted and validated with appropriate approval levels. Ensure operational effectiveness to deliver analytics capabilities.

Who You Are

• Values matter to you. You bring your real self to work and you live our values – trust teamwork and accountability.

• You can demonstrate experience in or have a strong theoretical understanding of financial economics financial mathematics statistics (advanced GLM Cox regression) risk management and option modeling techniques. In addition you have strong system and quantitative programming skills using C/C++/Python/R/SQL. You will also have minimum of 4-5 years of relevant statistical modeling / quant work experience along with a Masters/Doctoral degree in mathematics engineering statistics or related technical subject and work experience in applied mathematical statistical or stochastic modeling. You also have the ability to express modeling insights with an aptitude for explaining PnL and risk drivers. It is an asset if you have experience in working with banking retail products such as commitments mortgages or GICs.

• You give meaning to data. You enjoy investigating complex problems and making sense of information. You're confident in your ability to communicate detailed information in an impactful way.

• You act like an owner. You thrive when you're empowered to take the lead go above and beyond and deliver results.

• Your influence makes an impact. You know that relationships and networks are essential to success. You inspire outcomes by making yourself heard.

What CIBC Offers

At CIBC our people are our greatest asset. You’ll become part of a diverse community that acknowledges everyone’s unique talents and empowers teams to do what’s right for the client and to do it well. As part of our team you will:

• Thrive: Benefit from an open and approachable culture that provides the flexibility and support you need to integrate your life at work and at home

• Connect: Work in a place where the right technology and infrastructure fosters innovation collaboration and creativity

• Develop: Grow your skills and career through our best-in-class onboarding experience ongoing learning opportunities individual development planning and comprehensive product training

• Prosper: Share in our collective success with a competitive salary incentive pay banking benefits health benefits program and employee share purchase plan

What you need to know

• CIBC is committed to creating an inclusive environment where all team members and clients feel like they belong. We seek applicants with a wide range of abilities and we provide an accessible candidate experience. If you need accommodation please contact [email protected]
• You need to be legally eligible to work at the location(s) specified above and where applicable must have a valid work or study permit

Expected End Date

2022-01-31

Job Location

Toronto-161 Bay St. 11th

Employment Type

Regular

Weekly Hours

37.5

Skills

C++ Programming Language Financial Economics Mathematical Finance Option Valuation Python R Code Risk Management Statistical Models Structured Query Language (SQL)